ACE Investment Strategists : Energy Sector Hybrid Approach (ESHA)

archived programsClosed to new investments
Year-to-Date
N / A
Apr Performance
-5.15%
Min Investment
$ 20k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
21.60%
Sharpe (RFR=1%)
-0.06
CAROR
-2.62%
Assets
$ 6.7M
Worst DD
-40.69
S&P Correlation
0.30

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
4/2011
Energy Sector Hybrid Approach (ESHA) -5.15 - - - - - - -7.85
S&P 500 0.62 - - - - - - 154.03
+/- S&P 500 -5.77 - - - - - - -161.88

Strategy Description

Summary

The objective of the ACE's Hybrid Approach Strategies is to enhance the consistency of overall returns by taking advantage of various market conditions with a vast array of investment vehicles and techniques. It is central to this trading strategy that ACE makes use of flexibility... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 20k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 6000 RT/YR/$M
Avg. Margin-to-Equity 55%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 25.00%
1-30 Days 75.00%
Intraday 0%

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Counter-trend
20.00%
Momentum
20.00%
Option-writing
20.00%
Technical
20.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

The objective of the ACE's Hybrid Approach Strategies is to enhance the consistency of overall returns by taking advantage of various market conditions with a vast array of investment vehicles and techniques. It is central to this trading strategy that ACE makes use of flexibility to match the optimum trading style to the specific market situation. It's an "all market weather" strategy approach in the sense that is tries trade the three stages of the market for optimum results.

It's a simple formula: match the optimum trading approach to the current market environment and adjust as that changes. Of course, it's be bit more complex than that. It takes stern dedication to be that flexible and convicted to your trading program, disregarding all distractions. It takes experienced and seasoned trading.

Investment Strategy

The Energy Sector Hybrid Approach (ESHA) ACE’s hybrid strategy approach and applies it to the energy sector. The program focuses on the crude oil market. However, the program also has the versatility to trade heating oil, unleaded gasoline, natural gas, and energy spreads. ACE looks to take advantage of the long-term trends in the energy markets by utilizing outright futures contracts, inter and intra commodity spreads and/or options, depending on the strength and type of the ACE’s signal and indicators. Volatility exploitation, swing trading, and trend following may also be incorporated in the ESHA trading.

Risk Management

The appropriate investor for the ESHA will be someone who has had experience trading commodities, who is comfortable with frequent trading and exposure to higher than average risk in order to achieve potentially higher than average returns. It is suggested that at least 18 months should be allowed to evaluate performance of the ESHA strategy. Trading futures and options involves substantial risk

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
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Average Gain:
Gain Deviation:
Risk
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Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-40.69 15 - 1/1/2013 4/1/2014
-5.45 3 2 6/1/2011 9/1/2011
-2.57 1 3 4/1/2012 5/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
27.03 7 10/1/2011 4/1/2012
18.47 3 4/1/2011 6/1/2011
14.16 3 9/1/2013 11/1/2013
12.08 8 6/1/2012 1/1/2013
5.84 1 7/1/2013 7/1/2013
0.46 1 2/1/2014 2/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-32.17 5 2/1/2013 6/1/2013
-13.73 1 8/1/2013 8/1/2013
-9.66 2 3/1/2014 4/1/2014
-7.58 2 12/1/2013 1/1/2014
-5.45 3 7/1/2011 9/1/2011
-2.57 1 5/1/2012 5/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable62.1657.1465.6350.0040.0014.29
Average Period Return-0.03-0.51-0.65-2.31-2.05-8.66
Average Gain3.236.639.5222.8531.4632.17
Average Loss-5.38-10.04-20.09-27.47-24.38-15.46
Best Period16.6018.4725.1937.5849.6052.56
Worst Period-17.07-30.92-37.31-36.32-38.90-35.24
Standard Deviation6.2311.1316.4926.7829.3921.32
Gain Standard Deviation3.945.496.428.149.7228.84
Loss Standard Deviation5.639.4711.317.498.4210.38
Sharpe Ratio (1%)-0.02-0.07-0.07-0.12-0.12-0.50
Average Gain / Average Loss0.600.660.470.831.292.08
Profit / Loss Ratio0.990.880.910.830.860.35
Downside Deviation (10%)4.889.5014.6623.5225.5425.52
Downside Deviation (5%)4.749.0113.6320.7621.0018.61
Downside Deviation (0%)4.708.8913.3720.0819.8917.02
Sortino Ratio (10%)-0.09-0.18-0.21-0.31-0.38-0.74
Sortino Ratio (5%)-0.02-0.08-0.08-0.16-0.17-0.57
Sortino Ratio (0%)-0.01-0.06-0.05-0.12-0.10-0.51

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.